Description

coming soon

A Market by Price Order Book for the top 25 levels of depth. E.g. each row represents the top 25 levels from each side of the order book as recorded every time any of the tracked bids/asks of the top 25 levels changed. This allows customers to get visibility of the order book at any point in time without having to reconstruct the order book themselves (at the loss of full depth). This offering is effectively a pre-computed order book managed from processing all ticks to manage the complete order book where snapshots are provided for any price/qty changes on the top 25 levels of the book.

The data format below is available in CSV files accessible using SFTP.

Field
Description
exchange
Symbol used for the exchange
base
Base symbol
quote
Quote symbol
timestamp (UTC)
Epoch timestamp in microseconds.
askQty[0]
Ask side quantity at top of book (empty if there aren't any ask quotes)
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